Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan BetaBuilders Developed Asia Pacific-ex Japan ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan BetaBuilders Developed Asia Pacific-ex Japan ETF. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.6%, MDD -7.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.7%, drawdown -39.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.6%, MDD -7.1%, Sharpe 0.45, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.0%, MDD -19.3%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 32.6%p (CAGR 2.6%, MDD -7.1%, exposure 11%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=37, k=3 |
2.6% | -7.1% | 0.45 | 0.36 | 1.2x | 8 | 11% |
| SMA 크로스오버 fast=34, slow=175 |
3.0% | -19.3% | 0.32 | 0.16 | 1.3x | 11 | 55% |
| EMA 크로스오버 fast=54, slow=113 |
2.4% | -19.9% | 0.27 | 0.12 | 1.2x | 11 | 58% |
| Donchian 채널 돌파 entryN=45, exitN=74 |
2.2% | -29.1% | 0.24 | 0.08 | 1.2x | 17 | 57% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=15, mult=2.6 |
1.4% | -17.3% | 0.21 | 0.08 | 1.1x | 33 | 32% |
| ROC 모멘텀 n=142, threshold=0.02 |
0.8% | -24.7% | 0.13 | 0.03 | 1.1x | 63 | 47% |
| ADX / DI 방향성 period=13, threshold=29 |
-0.1% | -11.2% | 0.01 | -0.01 | 1.0x | 16 | 9% |
| MACD fast=10, slow=58, signal=10 |
-0.7% | -33.8% | 0.01 | -0.02 | 0.9x | 125 | 48% |
| Supertrend period=26, mult=2 |
-1.9% | -36.2% | -0.08 | -0.05 | 0.9x | 129 | 58% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-2.0% | -35.2% | -0.09 | -0.06 | 0.8x | 107 | 55% |
| Buy and hold | 2.7% | -39.6% | 0.24 | 0.07 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 37-day average (3× volatility)
- Sell — Sell when the close falls back to the 37-day middle average